Trh CP ri riziko "korelaceA,B" Trh Rp sigma_p Sharpe_R I A 0.22 0.3 0.15 I 0.261589242 0.234659406 0.897052967 1.114761376 B 0.31 0.32 II 0.295148765 0.211251174 0.715744734 1.397146151 Nejlepsi varianta! II A 0.26 0.29 -0.06 III 0.224674321 0.183191507 0.815364689 1.226445067 B 0.34 0.33 III A 0.18 0.2 0.09 B 0.41 0.38 Trh_I C_M 0.09 0.0144 0.0144 0.1024 Matic_soustava Xa Xb lambda1 VPS Xi Rp Riziko 0.18 0.0288 1 0 Xa 0.537897311 0.261589242 0.234659406 0.0288 0.2048 1 0 Xb 0.462102689 1 1 0 1 lambda -0.110130073 zkouska 1 Inverzni matice Zkouska 3.056234719 -3.056234719 0.537897311 1 0 0 -3.056234719 3.056234719 0.462102689 0 1 0 0.537897311 0.462102689 -0.110130073 0 0 1 Trh_II C_M 0.0841 -0.005742 -0.005742 0.1089 Matic_soustava Xa Xb lambda1 VPS Xi Rp Riziko 0.1682 -0.011484 1 0 Xa 0.560640441 0.295148765 0.211251174 -0.011484 0.2178 1 0 Xb 0.439359559 1 1 0 1 lambda -0.089254117 zkouska 1 Inverzni matice Zkouska 2.445179085 -2.445179085 0.560640441 1 0 0 -2.445179085 2.445179085 0.439359559 0 1 0 0.560640441 0.439359559 -0.089254117 0 0 1 Trh_III C_M 0.04 0.00684 0.00684 0.1444 Matic_soustava Xa Xb lambda1 VPS Xi Rp Riziko 0.08 0.01368 1 0 Xa 0.805763824 0.224674321 0.183191507 0.01368 0.2888 1 0 Xb 0.194236176 1 1 0 1 lambda -0.067118257 zkouska 1 Inverzni matice Zkouska 2.928772259 -2.928772259 0.805763824 1 0 0 -2.928772259 2.928772259 0.194236176 0 1 0 0.805763824 0.194236176 -0.067118257 0 0 1 ##### Sheet/List 2 ##### Firma 1 Firma 2 Firma 3 Kovariance m 0.8 0.3 0.6 "s1,2" -0.1 0.8 s 1.2 0.8 1.1 "s1,3" -0.5 0.3 "s2,3" 0.3 0.6 CM Firma 1 Firma 2 Firma 3 Firma 1 1.44 -0.1 -0.5 Firma 2 -0.1 0.64 0.3 Firma 3 -0.5 0.3 1.21 Zk Matice soustavy Rp Riziko X1 X2 X3 lambda1 lambda2 VPS Xi 0.15 1.075602119 2.88 -0.2 -1 1 0.8 0 X1 -0.150924025 -0.2 1.28 0.6 1 0.3 0 X2 1.399383984 -1 0.6 2.42 1 0.6 0 X3 -0.248459959 1 1 1 0 0 1 lambda1 -2.955359343 0.8 0.3 0.6 0 0 0.15 lambda2 4.276796715 Zk 1 Inverzni Matice Zk 0.08400224 0.056001493 -0.140003733 -0.330968826 1.200298675 1 0 0 0 0 0.056001493 0.037334329 -0.093335822 1.779354116 -2.533134217 0 1 0 0 0 -0.140003733 -0.093335822 0.233339556 -0.44838529 1.332835542 0 0 1 0 0 -0.330968826 1.779354116 -0.44838529 -3.835982826 5.870823222 0 0 0 1 0 1.200298675 -2.533134217 1.332835542 5.870823222 -10.62684338 0 0 0 0 1 ##### Sheet/List 3 ##### Emise CP1 CP2 CP3 CP4 CP5 CP6 CP7 ri (v %) CP1 80.5 82.7 85.3 85.1 123.9 22 3.5 1.9 CP2 82.7 184.7 131.5 69.4 49.5 58 -9.9 6.1 CP3 85.3 131.5 374.2 384.5 366.5 103.8 343.5 2.9 0.393500391 0.437029695 -0.655179483 -0.044328174 0.036014728 0.415333712 0.417629131 CP4 85.1 69.4 384.5 684.8 599.1 51.6 502.7 4 Mezivypocet rizika CP5 123.9 49.5 366.5 599.1 871.4 -21.2 520.4 5.7 CP1 CP2 CP3 CP4 CP5 CP6 CP7 CP6 22 58 103.8 51.6 -21.2 89.7 74.4 3.4 0.393500391 CP1 12.46482586 14.22203112 -21.99148151 -1.484412384 1.755887217 3.595547509 0.575180292 CP7 3.5 -9.9 343.5 502.7 520.4 74.4 574.6 4.9 0.437029695 CP2 14.22203112 35.27676809 -37.65277498 -1.344467347 0.779105534 10.52776359 -1.806911685 -0.655179483 CP3 -21.99148151 -37.65277498 160.6291498 11.16699892 -8.647974707 -28.24586151 -93.98917008 b) Matice soustavy Zk -0.044328174 CP4 -1.484412384 -1.344467347 11.16699892 1.3456231 -0.956443464 -0.950006826 -9.306352769 CP1 CP2 CP3 CP4 CP5 CP6 CP7 VPS Xi Rp Riziko 0.036014728 CP5 1.755887217 0.779105534 -8.647974707 -0.956443464 1.130258656 -0.317112373 7.827232162 CP1 161 165.4 170.6 170.2 247.8 44 7 1 1.9 0 X1 0.393500391 5 6.313645966 0.415333712 CP6 3.595547509 10.52776359 -28.24586151 -0.950006826 -0.317112373 15.47343764 12.90508601 CP2 165.4 369.4 263 138.8 99 116 -19.8 1 6.1 0 X2 0.437029695 0.417629131 CP7 0.575180292 -1.806911685 -93.98917008 -9.306352769 7.827232162 12.90508601 100.2183368 CP3 170.6 263 748.4 769 733 207.6 687 1 2.9 0 X3 -0.655179483 CP4 170.2 138.8 769 1369.6 1198.2 103.2 1005.4 1 4 0 X4 -0.044328174 CP5 247.8 99 733 1198.2 1742.8 -42.4 1040.8 1 5.7 0 X5 0.036014728 suma 39.86212538 CP6 44 116 207.6 103.2 -42.4 179.4 148.8 1 3.4 0 X6 0.415333712 CP7 7 -19.8 687 1005.4 1040.8 148.8 1149.2 1 4.9 0 X7 0.417629131 1 1 1 1 1 1 1 0 0 1 lambda1 -26.04406632 1.9 6.1 2.9 4 5.7 3.4 4.9 0 0 5 lambda2 -10.73603689 Zk 1 Inv_matice zk 0.016039416 0.007660609 -0.004068331 -0.00315134 -0.009140957 -0.023510276 0.01617088 2.286870663 -0.378674055 1 0 0 0 0 0 0 0 0 0.007660609 0.00468536 -0.000721958 -0.001309155 -0.00537105 -0.012689387 0.007745581 0.010736227 0.085258694 0 1 0 0 0 0 0 0 0 -0.004068331 -0.000721958 0.004856308 -0.000915259 0.001708481 0.002544365 -0.003403606 -0.259380927 -0.079159711 0 0 1 0 0 0 0 0 0 -0.00315134 -0.001309155 -0.000915259 0.003578658 0.001027626 0.004876574 -0.004107102 -0.246233458 0.040381057 0 0 0 1 0 0 0 0 0 -0.009140957 -0.00537105 0.001708481 0.001027626 0.00733021 0.01499997 -0.01055428 -0.842795834 0.175762112 0 0 0 0 1 0 0 0 0 -0.023510276 -0.012689387 0.002544365 0.004876574 0.01499997 0.038550595 -0.024771841 -1.254395478 0.333945838 0 0 0 0 0 1 0 0 0 0.01617088 0.007745581 -0.003403606 -0.004107102 -0.01055428 -0.024771841 0.018920369 1.305198807 -0.177513935 0 0 0 0 0 0 1 0 0 2.286870663 0.010736227 -0.259380927 -0.246233458 -0.842795834 -1.254395478 1.305198807 -30.65171899 0.921530536 0 0 0 0 0 0 0 1 0 -0.378674055 0.085258694 -0.079159711 0.040381057 0.175762112 0.333945838 -0.177513935 0.921530536 -2.331513485 0 0 0 0 0 0 0 0 1 ##### Sheet/List 4 ##### Riziková portfolia A B C D 6.20% 4% 7.50% 8.40% 14.50% 9.70% 17% 20% 3.5 1. 2. 3. 4. 5. 0.2 0.4 0.5 0.6 0.8 Portfolio 0.8 0.6 0.5 0.4 0.2 Vynosnost 1 2 3 4 5 A 0.7496 1.4372 1.781 2.1248 2.8124 B 0.732 1.424 1.77 2.116 2.808 C 0.76 1.445 1.7875 2.13 2.815 D 0.7672 1.4504 1.792 2.1336 2.8168 Riziko 1 2 3 4 5 A 0.116 0.087 0.0725 0.058 0.029 B 0.0776 0.0582 0.0485 0.0388 0.0194 C 0.136 0.102 0.085 0.068 0.034 D 0.16 0.12 0.1 0.08 0.04